• Market News | VIX | Trader Talk | Futures | Trade Ideas | Jan 23, 2016, 6:37 PM

    Weekly Review - VIX Futures and Options - 1/18 - 1/22

    Weekly Review - VIX Futures and Options - 1/18 - 1/22

    The stock market rally on Friday put pressure on VIX and pushed the spot index down enough that the front month February future closed at a slight premium.  This is the first premium for the front month VIX futures relative to spot since January 4th.  I’ll discuss this a bit more toward the end of this blog. The generic short dated curve flattened out which I’m learning is the normal shape using the five consecutive weekly VIX futures contracts. As mentioned above,[...]

  • Market News | VIX | Trader Talk | Futures | Trade Ideas | Jan 23, 2016, 8:58 AM

    Weekly Review - Volatility Indexes and ETPs - 1/18 - 1/22

    Weekly Review - Volatility Indexes and ETPs - 1/18 - 1/22

    The S&P 500 rebounded by about 1.4% last week and SPX option volatility moved a bit lower.  The VXST – VIX – VXV – VXMT curve shifted lower and flattened.  However for a bit of perspective I show where we ended 2015.  I think the comparison is a good indication that we may not be completely out of the woods, at least based on the expectations indicated by the various S&P 500 oriented volatility measures. The rebound in the stock market put some[...]

  • Market News | VIX | Trader Talk | Futures | Trade Ideas | Jan 22, 2016, 2:40 PM

    TYVIX Weekly Report - January 22, 2016

    TYVIX Weekly Report - January 22, 2016

      VIX Indexes Moderate Despite Little Closure on Global Economic Outlook The bleak outlook for world economic growth, oil prices and low inflation drove equity markets lower for most of this week, although stock prices trimmed losses Friday on a bounce in oil prices and talk of possible central bank easing in Europe and Japan. VIX benchmarks for volatility in equity, fixed income and currency rates moderated (with the exception of JYVIX). Figure 1.  Statistical update   Looking[...]

  • Market News | VIX | Trader Talk | Trade Ideas | Jan 21, 2016, 7:28 AM

    VIX Backwardation Streak Updates

    VIX Backwardation Streak Updates

    Despite a late day recovery for the equity markets, all three measures of backwardation remained in place as of yesterday (1/20). The new front month is February.  VIX closed at 27.59 and the February VIX futures settlement came in at 24.725.  This is the 10th day in a row that VIX has closed higher than the front month future. The relationship between the front month and second month is most important to traders focused on the VIX related ETPs (VXX, SVXY, UVXY, etc) and the front month[...]

  • Market News | Technical Analysis & Charts | VIX | Jan 19, 2016, 11:30 AM

    Market Outlook - Are Stocks Ready To Pivot?

    Market Outlook - Are Stocks Ready To Pivot?

    Despite a couple of valiant efforts from the bulls, there was just nothing that could stop the raging bear last week. By the time the closing bell rang on Friday, the market was off by 2.2% for the week.... most of which came during Friday's selloff. Was that enough to finally drive the market to a meaningful bottom and let stocks start to recover for a while? Most indices are still on the fence, but yes, there are some clues suggesting stocks are ready to pivot. The question is, can we trust those[...]

  • Weekly Review - Russell 2000 Index and Volatility 1/11 - 1/15

    Weekly Review - Russell 2000 Index and Volatility 1/11 - 1/15

    The Chicago Bears are doing the same thing the rest of us did this weekend, watching the playoffs from home.  However, the stock market bears have been dominate in 2016.  Russell 2000 (RUT) history goes back to 1987 so there is not a lot to work with, but the first ten days of 2016 are the worst first ten days on record for RUT.  The table below shows the first ten days for every year when RUT started off in the red followed by what the small cap oriented index did for the balance[...]

  • Caution on Using VIX vs. Oil as a Stock Market Signal

    Caution on Using VIX vs. Oil as a Stock Market Signal

    I awoke this morning to an email from the matriarch of CBOE-TV Holly Goodhart.  She was preparing for her day with CNBC on in the background and something caught her eye.  The following comes directly from her email – I have CNBC on this morning, and they just spent a segment discussing this headline: "Markets bottom when VIX is greater than oil." This didn’t sound right to me for a few reasons, primarily because I recall many years with the price of oil in the teens.[...]

  • Market News | VIX | Trader Talk | Futures | Jan 17, 2016, 1:07 PM

    Weekly Review - VIX Futures and Options - 1/11 - 1/15

    Weekly Review - VIX Futures and Options - 1/11 - 1/15

    Two tomatoes are walking down the street, momma tomato and baby tomato.  Baby tomato can’t keep and momma tomato keeps getting angrier and angrier.  Finally she stops, turns around and stomps on baby tomato.  She then states, “Catch up”. That’s what the VIX futures did this past week, with the stock market playing the role of baby tomato and getting stomped on.  When the dust settled this week VIX was actually up by 0.01 with VIX futures narrowing the gap. [...]

  • A Quick Look at VIX Backwardation Streaks

    A Quick Look at VIX Backwardation Streaks

    When VIX is relatively high the VIX term structure moves into what we commonly refer to as backwardation.  The way this may be defined varies among market participants, but most focus on the shorter end of the VIX curve.  That is what I’ve been doing lately as well.  It turns out, regardless of how you define VIX backwardation 2016 has experienced more instances of it than not for the first ten days of 2016.  The tables below rank the consecutive day streaks for VIX backwardation[...]

  • Market News | VIX | Futures | Jan 15, 2016, 1:34 PM

    Twists and Turns In VIX and TYVIX Indexes

    Twists and Turns In VIX and TYVIX Indexes

    The CBOE Volatility Index (VIX) and the CBOE/CBOT 10-year U.S. Treasury Note Volatility Index (TYVIX), benchmarks of volatility for the U.S. equity and Treasury markets, have had some interesting twists and turns this week after another decline in the Shanghai stock market pushed global equities lower and the price of crude oil dipped below $30 a barrel. The TYVIX Index has been heading up since December 24, 2015, but still shows no clear trend from a longer-run perspective. The VIX Index, on the[...]

  • VIX | Trader Talk | Education | Jan 12, 2016, 3:40 PM

    The Blame Game

    The Blame Game

    Plenty of ink has been spilled about the selloff in global equity markets including SPX and RUT. We have been witness to an escalating VIX and RVX, albeit with significantly lower highs (to this point) when compared to the late August selloff. Psychologically, we like to be able to attribute market pullbacks to something specific. People want a narrative. They prefer to have something to point to and affix blame. Jesse Livermore famously spouted, “There is only one side of the market and it[...]

  • Market News | VIX | Trader Talk | Trade Ideas | Jan 11, 2016, 6:19 PM

    Block Trade Analysis - Huge 1 x 2 Jan VIX Call Spread from Monday

    Block Trade Analysis - Huge 1 x 2 Jan VIX Call Spread from Monday

    Today, while I was teaching at the Options Institute, a roar came up from the VIX pit about an hour into the trading day.  Despite the tumultuous market activity that we have experienced to begin the year, the audible volume from the open outcry pits has been fairly tame.  What got the guys going today was a very large ratio spread using January VIX Calls that expire on the open next Wednesday. The specific trade sold well over 100,000 of the 22 Calls and purchased twice as many of the[...]

  • Market News | Technical Analysis & Charts | VIX | Futures | Jan 11, 2016, 9:30 AM

    BigTrends.com Weekly Market Outlook - Is The Pullback Over?

    BigTrends.com Weekly Market Outlook - Is The Pullback Over?

    From a momentum perspective, the bears were clearly in charge as of the end of last week. On the other hand, the sheer size and scope of the setback opens the door to a possible bounce...  a volatile mode the market has been in for over a year. Only time will really tell if this oddly bearish start to the new trading year was a fluke or the shape of things to come. It's best to prepare for both possibilities. We'll look at the charts and weigh the odds below.  But first, was quickly review[...]

  • Market News | VIX | Trader Talk | Futures | Jan 9, 2016, 9:00 AM

    Weekly Review - VIX Futures and Options 1/4 -1/8

    Weekly Review - VIX Futures and Options 1/4 -1/8

    The VIX curve moved from flat to backwardation as the S&P 500 dropped almost 5% to begin the year.  We finished the previous week with the curve pretty flat which is often considered an indication of uncertainty among volatility traders.  As a stretch of a visual I think about a flat volatility curve replicating a ‘fair coin’ which is the proper academic way to introduce a true 50 / 50 prospect.  That coin toss turned out to be extremely bearish for the equity markets[...]

  • Market News | VIX | Trader Talk | Futures | Jan 8, 2016, 7:30 PM

    Weekly Review - Volatility Indexes and ETPs - 1/4 - 1/8

    Weekly Review - Volatility Indexes and ETPs - 1/4 - 1/8

    The S&P 500 experienced the second worst week in performance since 2011.  For those with short memories, the worst week came about four months ago in late August.   What both these weeks have in common is China which continues to experience financial market woes and, despite their leader’s best efforts, there seems to be no end to the volatility coming out of that part of the world for the foreseeable future. The market action pushed all four S&P 500 related volatility[...]

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